Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 5 | 4 | 4 |
| Score | 5.11 | 3.92 | 4.65 |
| Market Cap (Millions USD) | 5307.57 | 5112.77 | 5056 |
| Predicted Beta | 1.5 | 1.49 | 1.45 |
| Idiosyncratic Volatility | 0.92 | 1.1 | 1.22 |
Annualized return and volatility
| OEF | |
|---|---|
| Annualized Return | 0.0558 |
| Annualized Std Dev | 0.1839 |
| Annualized Sharpe (Rf=0%) | 0.3034 |
Row
Daily Return Statistics
| OEF | |
|---|---|
| Observations | 4901.0000 |
| NAs | 213.0000 |
| Minimum | -0.0884 |
| Quartile 1 | -0.0042 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0054 |
| Maximum | 0.1162 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0116 |
| Skewness | 0.0222 |
| Kurtosis | 9.7970 |
Downside Risk
| OEF | |
|---|---|
| Semi Deviation | 0.0083 |
| Gain Deviation | 0.0084 |
| Loss Deviation | 0.0092 |
| Downside Deviation (MAR=210%) | 0.0131 |
| Downside Deviation (Rf=0%) | 0.0082 |
| Downside Deviation (0%) | 0.0082 |
| Maximum Drawdown | 0.5411 |
| Historical VaR (95%) | -0.0179 |
| Historical ES (95%) | -0.0283 |
| Modified VaR (95%) | -0.0164 |
| Modified ES (95%) | -0.0208 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2012-09-06 | -0.5411 | 1259 | 364 | 895 |
| 2000-11-08 | 2002-10-09 | 2007-05-03 | -0.4717 | 1655 | 487 | 1168 |
| 2018-10-04 | 2018-12-24 | 2019-04-22 | -0.1960 | 138 | 57 | 81 |
| 2015-07-21 | 2015-08-25 | 2015-11-03 | -0.1313 | 77 | 27 | 50 |
| 2015-11-04 | 2016-02-11 | 2016-04-19 | -0.1226 | 115 | 69 | 46 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | OEF | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.3 | 2.2 | 0 | 2.5 |
| 2001 | 0.7 | 0.1 | 0.0 | 1.6 | 0.6 | 0.0 | -1.0 | 0.0 | 0.4 | 2.3 | 0.0 | 0 | 4.8 |
| 2002 | -0.6 | 2.0 | -0.4 | 0.7 | 0.0 | -1.3 | -2.7 | 0.0 | 4.0 | 1.6 | 0.0 | 0 | 3.2 |
| 2003 | 0.0 | 0.0 | 1.6 | 0.1 | 0.0 | 0.8 | -1.0 | 0.0 | 2.2 | 0.0 | 1.0 | 0 | 4.8 |
| 2004 | 0.0 | 0.7 | 0.6 | 0.0 | -0.3 | -1.1 | 0.0 | -0.3 | 1.5 | 0.2 | 1.4 | 0 | 2.8 |
| 2005 | 0.6 | 0.5 | -0.6 | 0.0 | 0.9 | 0.1 | -0.1 | -0.5 | 0.0 | -0.4 | 0.9 | 0 | 1.5 |
| 2006 | 0.2 | 0.8 | 0.0 | -0.5 | 0.9 | 0.0 | -0.4 | 0.5 | 0.0 | -0.6 | -0.3 | 0 | 0.7 |
| 2007 | 0.4 | -0.3 | 0.0 | 0.3 | 0.4 | 0.0 | 0.7 | 0.0 | 1.3 | -2.5 | 0.0 | 0 | 0.3 |
| 2008 | -0.4 | 0.0 | 3.7 | 1.7 | 0.0 | 0.5 | -0.4 | 0.0 | 3.0 | 0.0 | -8.1 | 0 | -0.6 |
| 2009 | 0.0 | 0.0 | 1.9 | 0.6 | 1.5 | 0.4 | 0.0 | -2.3 | -2.3 | 0.0 | 1.1 | 0 | 0.8 |
| 2010 | 1.3 | 0.8 | 0.6 | 0.0 | -1.4 | -0.5 | 0.0 | 2.8 | 0.5 | 0.0 | 2.1 | 0 | 6.5 |
| 2011 | 1.7 | -1.6 | 0.3 | 0.0 | -2.2 | 1.4 | -0.2 | -0.9 | 0.0 | -2.6 | -0.1 | 0 | -4.2 |
| 2012 | 0.7 | 0.6 | 0.0 | 0.6 | -2.3 | 0.0 | -0.2 | 0.0 | 0.3 | 1.0 | 0.0 | 0 | 0.6 |
| 2013 | 1.0 | 0.3 | -0.2 | -0.7 | 0.0 | 0.7 | 1.0 | 0.0 | 0.8 | 0.2 | 0.0 | 0 | 3.2 |
| 2014 | 0.0 | 0.0 | 0.6 | -0.1 | 0.0 | 0.8 | -0.4 | 0.0 | -1.3 | 0.0 | -0.7 | 0 | -1.2 |
| 2015 | 0.0 | 0.0 | -0.4 | 1.0 | 0.2 | 0.8 | 0.0 | -3.0 | 0.3 | 0.0 | 1.0 | 0 | -0.1 |
| 2016 | 0.0 | 2.6 | 0.8 | 0.0 | 0.1 | 0.2 | 0.0 | 0.0 | 0.0 | -0.6 | -0.2 | 0 | 2.7 |
| 2017 | 0.2 | 1.4 | 0.0 | 0.3 | 0.6 | 0.0 | 0.3 | 0.1 | 0.0 | 0.3 | -0.1 | 0 | 3.1 |
| 2018 | 0.0 | -1.4 | 0.0 | 0.2 | 1.1 | 0.0 | 0.2 | 0.0 | 0.5 | 0.9 | 0.0 | 0 | 1.4 |
| 2019 | -0.1 | 0.7 | 1.2 | -0.5 | 0.0 | 0.9 | -0.8 | 0.0 | -1.2 | 0.9 | 0.0 | 0 | 1.1 |
Row
Rolling Performance Chart
Snail Trail Chart
